Morningstar DBRS Confirms the Credit Rating on the Series 2023-E Notes Issued by JG Wentworth LVI, LLC Series 2023-E

DBRS, Inc. (Morningstar DBRS) confirmed its credit rating on the Fixed Rate Asset Backed Notes, Series 2023-E (the Notes) issued by JG Wentworth LVI, LLC Series 2023-E.

CREDIT RATING RATIONALE/DESCRIPTION
-- The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.
-- The confirmation of the initial rating on the Notes is in relation to the credit analysis review completed on the amount funded during the Prefunding Period.
-- Transaction capital structure and form and sufficiency of available credit enhancement. The hard credit enhancement for the Notes is 8.64%, provided through the Issuer Invested Amount (6.64%) and an amount on deposit in the cash reserve account (2.00%). The Applicable Reserve Percentage decreased by 1.00% from 3.00% at the end of the Prefunding Period.
-- The collateral pool mix and credit quality of the collateral pool at end of the Prefunding Period. At the conclusion of the Prefunding Period, approximately 79.3% of collateral (by aggregate discounted receivables balance) was represented by exposure to annuity providers with a rating equivalent of “A” or better.
-- Collateral for the Notes comprises structured settlements receivables, annuity receivables, and lottery receivables; no life contingent collateral is included in the transaction. Lottery receivables account for approximately 4.6% of the aggregate discounted receivables balance.
-- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. For this transaction, the rating addresses timely payment of interest on a monthly basis and repayment of principal by the Legal Final Maturity Date.
-- J.G. Wentworth, LLC (JGW or the Company) is an established originator and servicer of structured settlements, annuity contracts, and lottery receivables. Over the years, the Company has sponsored and acted as the servicer of multiple asset-backed securities (ABS) transactions secured by such collateral. Morningstar DBRS conducted an operational review of JGW and determined it to be an acceptable originator and servicer of structured settlements, annuity, and lottery receivables.
-- Vervent Inc. is a backup servicer and, if needed, could assume primary servicing.
-- The transaction is supported by an established structure and is consistent with Morningstar DBRS' “Legal Criteria for U.S. Structured Finance.” Legal opinions covering, among other things, true sale and nonconsolidation were also provided.

Morningstar DBRS’ credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Notes are the related Interest Distribution Amount and the Aggregate Principal Balance of the Notes payable to the Noteholders.

Morningstar DBRS’ credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligations that are not a financial obligation are the interest on unpaid Interest Distribution Amount for the Notes, any compensation due to the Series 2023-E Noteholders related to the failure of the issuer to maintain the rating on the Notes by an approved rating agency, and any indemnities due to the Series 2023-E Noteholders.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS’s considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit rating is Rating U.S. Structured Settlements Asset-Backed Securitizations (October 30, 2023; https://dbrs.morningstar.com/research/422570/).

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023),
https://dbrs.morningstar.com/research/417415

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://dbrs.morningstar.com/research/417416

Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://dbrs.morningstar.com/research/425081

Rating U.S. Structured Finance Transactions (October 30, 2023),
https://dbrs.morningstar.com/research/422592

Global Methodology for Rating CLOs and Corporate CDOs and the CLO Insight Model v1.0.1.0 (October 22, 2023), https://dbrs.morningstar.com/research/422269

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.